东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2008, Vol. 29 ›› Issue (11): 1544-1547.DOI: -

• 论著 • 上一篇    下一篇

一种实物期权的新型模糊定价方法

祝丹梅;张铁;陈冬玲;高红霞;   

  1. 东北大学信息科学与工程学院;重庆工学院数理学院;
  • 收稿日期:2013-06-22 修回日期:2013-06-22 出版日期:2008-11-15 发布日期:2013-06-22
  • 通讯作者: Zhu, D.-M.
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(10771031)

New fuzzy pricing approach to real option

Zhu, Dan-Mei (1); Zhang, Tie (1); Chen, Dong-Ling (1); Gao, Hong-Xia (2)   

  1. (1) School of Information Science and Engineering, Northeastern University, Shenyang 110004, China; (2) School of Mathematics and Physics, Chongqing Institute of Technology, Chongqing 400050, China
  • Received:2013-06-22 Revised:2013-06-22 Online:2008-11-15 Published:2013-06-22
  • Contact: Zhu, D.-M.
  • About author:-
  • Supported by:
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摘要： 针对实物期权定价中预期现金流收益的现值是个预测值,而采用精确值给出不太合理的问题,分析了三角模糊数或梯形模糊数给出它的区间估计值,并利用Black-Scholes公式(简称B-S公式)为之定价的方法.提出了将预期现金流收益现值的专家评估区间转化成正态模糊数并利用格贴近度构造权向量的一种新的实物期权定价方法,验证了利用正态模糊数估计现金流收益现值的合理性.最后通过实例模拟证明了该方法的有效性.

关键词: 实物期权定价, 预期现金流收益, 正态模糊数, 格贴近度, B-S公式

Abstract: In real option pricing, it is impractical to assume the present value of expected cash flow payoff as an exact number because it is a forecast one. Generally, the number is regarded as a triangular or trapezoidal fuzzy number to give its estimated interval values and the Black-Scholes (abbreviated as B-S) formula is used to price the real option. A new pricing approach to real option is thus proposed to transform the forecast intervals evaluated by experts into some normal fuzzy numbers with the lattice closeness degree introduced to construct weighted vectors. In this way the rationality of estimating the present value of expected cash flow payoff by using a normal fuzzy number is verified. A numerical example is given to illustrate the validity of the approach proposed.

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